论文信息 - Recursive Calculation of Survival Probabilities

Recursive Calculation of Survival Probabilities

Abstract In this paper we present an algorithm for the approximate calculation of finite time survival probabilities for the classical risk model. We also show how this algorithm can be applied to the calculation of infinite time survival probabilities. Numerical examples are given and the stability of the algorithms is discussed.

Howard R. Waters | David C. M. Dickson

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